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    2024-12-18

Article 20 Positions in the correlation trading portfolio

Article 406 of the Regulation (EU) No 575/2013 shall be deemed to be complied with where the following conditions are fulfilled:

  1. (a)

    securitisation positions are either held in the correlation trading portfolio and are reference instruments as referred to in Article 338(1)(b) of that Regulation or are eligible for inclusion in the correlation trading portfolio;

  2. (b)

    the institution complies with Article 377 of that Regulation with regard to calculating the own funds requirements in relation to its correlation trading portfolio;

  3. (c)

    the institution's approach to calculating own funds in relation to its trading portfolio results in a comprehensive and thorough understanding of the risk profile of its investment in the securitisation positions;

  4. (d)

    the institution has implemented formal policies and procedures appropriate to its correlation trading portfolio and commensurate with the risk profile of its investments in the corresponding securitised positions, for analysing and recording the relevant information referred to in Article 406(1) of Regulation (EU) No 575/2013.